Brentford striker Clayton Donaldson's well taken header condemned Walsall to a first home defeat of the season.
Donaldson scored the only goal with a glancing effort from Myles Weston's cross - and could have doubled his tally only to slip as he shot.
The Saddlers came close to equalising when Ryan Jarvis' 25-yard shot hit the inside of the post.
Visiting keeper Richard Lee had to beat away Alex Nicholls' stoppage time drive as the Bees held on.
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Brentford boss Uwe Rosler told BBC London 94.9:
"I think the first half we felt very comfortable, we restricted them to just one corner and they hardly threatened us.
"We needed that second goal to kill it off, we had three big chances to do this but we couldn't and so the last 10-15 minutes it wasn't a good time to be a coach.
"But overall, I think we were the better team."